【作者】 郑捷；

【导师】 刘力臻；

【作者基本信息】 东北师范大学 ， 金融学， 2007， 硕士

【摘要】 亚洲金融危机以后,中国经济快速增长、经常项目顺差不断扩大和外汇储备激增,在此情况下,2002年,人民币名义汇率与美元基本保持稳定,但对欧元和日元则分别贬值了14.4%和4.7%,如果考虑通货膨胀因素,对三大货币的实际汇率分别下降28%、16.6%和5.2%,据IMF估算,2003年人民币相对于其他主要贸易伙伴国的名义有效汇率下降了6%。此种反常的汇率行为,使人民币汇率问题继亚洲金融危机后再次成为世界瞩目的焦点,专家、学者和政府要员们对此众说纷纭,莫衷一是。要求人民币升值的国际舆论此起彼伏,从未停息。2005年7月21日人民币汇率体制发生了重要变化,它从以前的盯住美元汇率制度变成了现在以市场供求为基础的、参照一揽子货币有管理的浮动汇率制度,汇率波动范围加宽。因此分析人民币汇率偏离长期趋势的短期波动行为是有必要的。由于我国汇率体制的原因,名义汇率不能很好的代表我国的对外竞争力,因此本文选用能较好代表我国对外竞争力的实际有效汇率作为研究对象,运用h-p滤波方法将人民币实际有效汇率进行分解,得到人民币实际有效汇率的短期波动数据,然后运用STAR模型对人民币实际有效汇率的短期波动数据进行分析。分析结果发现人民币实际有效汇率的短期波动具有非线性,并符合ESTAR模型(指数平滑转移自回归模型),并根据其行为特征提出一些政策建议及评价。更多还原

【Abstract】 Ever since the Asia Financial Crisis, China’s economy has been in a fast growing with incessant expanded current account surplus and increasing foreign exchange reserve. Under this situation, in 2002, RMB nominal exchange rate basically keeps stable to USD, but got depreciation to Euro and Japanese Yen. If the inflation is under consideration, RMB depreciated by 28%, 16.6% and 5.2% against the three currencies. According to IMF estimation, in 2003, the efficient exchange rate of RMB against other main trading countries’currencies decreased 6%. Such an abnormal exchange rate performance made RMB the focus of the world since the Asian Financial Crisis. All professors, scholars and governmental workers have different attitude towards it, and the call for RMB appreciation arouses.In 21st, July, RMB exchange rate system took an important change, the pegging to USD exchange rate system changed to the managed float exchange rate system referring to a basket of currencies and based on market supply and demand with a wider band of floating. Thus, it is necessary to analyze short-term fluctuation with the departure from long-term trend of RMB exchange rate.Due to our exchange system, nominal exchange rate can not represent our competence,thus this article chooses the real and efficient exchange rate as the research object, analyzes RMB real and efficient exchange rate with h-p filtering to get the short-term floating data,and then uses STAR model to analyze. The result of the analysis shows that the short-term floating of RMB real and efficient exchange rate is non-linear and accords to ESTAR model, and finally, according to this feature, some opinion and political suggestions were given.更多还原